Here, we first took the 20% of companies in our investment universe with the highest 12-month price index and then combined these companies with the 14 second factors we tested.
On average, across all the second factors we tested, this strategy would have given you a return of 404.9% (median was 420.7%). This was the seventh-best (out of nine) two-factor strategy we tested. The best combination was combining the 12-month price index with the companies with the highest earnings yield, using the past 12 months' earnings. The strategy would have given you a return of 802.4%.
The worst strategy would have been to combine the highest 12-month price index with the same factor again. This means from the 20% of companies with the highest share price increase over the past 12 months, you would have chosen the 20% that went up the most price over the past 12 months. In this case, your return would have been 114.9%.